If you connect a wallet to SN, when I zap you, the sats go directly to you. If you don't have a wallet connected, the sats become what are called Cowboy Credits and end up being attached to your profile on SN.
Connecting a wallet is a little tricky because there are two types of connecting: sending and receiving.
If you click on your profile name in the upper right corner, you'll see a menu. Click on wallets and it will take you to a page that shows what wallets you have connected.
If you have successfully connected a wallet for receiving, you will see a green arrow that is oriented down and to the left. If it's orange something isn't working quite right, and if it's red, it's not working at all.
Also you might notice the little shapes next to your handle (cowboy hat, horse, gun) hovering over those tells you a little about your wallet.
walletsand it will take you to a page that shows what wallets you have connected.